Causality between trading volume and returns: Evidence from quantile regressions

127 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016, background): “[21] and Gebka and Wohar [7] analyze the causality between stock return and trading volume relation based on quantile regressions.”
Do global factors impact BRICS stock markets? A quantile regression approach (2014, background): “…(e.g., Adrian and Brunnermeier, 2011) and bankruptcy prediction (e.g., Li and Miu, 2010) and to model dependence between financial variables (e.g., Bassett and Chen, 2001; Chuang et al., 2009; Baur et al., 2012; Lee and Li, 2012; Tsai, 2012; Ciner et al., 2013; Gebka and Wohar, 2013; among others).”
Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, unknown): “Although a large amount of literature has focused on the role of traded volume in predicting movement in stock returns and volatility (see Gebka and Wohar, 2013, for a detailed literature review), the predictability of traded volume for the returns and volatility in the Bitcoin market remains unexpl”